I'm going to pick up some stitches.
I don't know what your pattern is, or what they are telling you to do, but if you are casting on and then beginning to knit in the round, you don't need to pick up any stitches, for instance if you are making a hat, or a sweater and want to begin with a tube shape.
You can cast on to an appropriate sized circular needle, make sure you don't have any twists (I do that by having all the cast on edge in the center of the ring, when the needle tips are brought together. Nice and flat, no twists.) The simplest join is just to start knitting on around. You can think of it as, when you finish the cast on to begin knitting from that point into the first stitch you cast on. Like you say, just knit round and round, no turning. To get stockinette stitch, you knit every round.